On the performance of West's bubble test: a simulation approach

DOI10.1016/J.AMC.2010.08.056zbMATH Open1205.91177OpenAlexW2095814399MaRDI QIDQ613258FDOQ613258

Authors: Aydin Yuksel, Levent Akdeniz, Aslihan Altay-Salih 

Publication date: 20 December 2010

Published in: Applied Mathematics and Computation (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/11693/12003

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zbMATH Keywords

asset pricingpresent value modelspeculative bubble test

Mathematics Subject Classification ID

Applications of statistics to actuarial sciences and financial mathematics (62P05) Statistical methods; risk measures (91G70) General equilibrium theory (91B50)

Cites Work

• Large Sample Properties of Generalized Method of Moments Estimators
• Specification Tests in Econometrics
• Title not available (Why is that?)
• Bubbles and Crashes
• Asset Bubbles and Overlapping Generations
• Asset Prices in an Exchange Economy
• Title not available (Why is that?)
• Stock valuation along a Markov chain.
• The equity premium in Brock's asset pricing model
• Computational economics and economic theory: Substitutes or complements?
• Do CAPM results hold in a dynamic economy? A numerical analysis
• Risk and return in a dynamic general equilibrium model
• Further critique of GARCH/ARMA/VAR/EVT Stochastic-Volatility models and related approaches

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